Haindorf Seminar 2020
21.01 - 25.01.2020
Hejnice, Czech Republic
Organization and Contact Information
Wolfgang Härdle Humboldt University of Berlin doc. PhDr. Jozef Baruník, Ph.D. | ||
| Phone: | +49 - 30 - 2093 99469 | |
| E-mail: | ||
IRTG Short Course
Commodity Markets: Risk Management and Forecasting Andrew Vivian (Loughborough University / UK)
| |||||
IRTG Short Course
TVP VAR estimation in high dimensional settings Michael Ellington (University of Liverpool/ UK)
| |||||
IRTG Guest Talk
Blockchain and Sustainability Simon Schillebeeckx (Singapur Management University)
| |||||
Location and Trip Tips
Venue: International Center for Spiritual Rehabilitation
Address: Klasterni 1, 463 62 HEJNICE, Czech Republic
More information about the location
Skiing at Jested
Excursion to the nearby church and tombs of Hejnice
Participants
HUBWolfgang Härdle Anna Shchekina Bruno Spilak Danial Saef Daniel Jacob Elizaveta Zinovyeva Francis Liu Konstantin Häusler Kainat Khowaia Lili Matic Marius Sterling Michael Althof Min-Bin Lin Niels Wesselhöft Vanessa Guarino Xinwen Ni Raphael Reule University of LiverpoolMichael Ellington Singapur Management UniversitySimon Schillebeeckx University of RijekaMaria Culjak | Charles University PragueJozef Baruník František Čech Luboš Hanus Martin Hronec Miloš Kopa Josef Kurka Karel Kozmík Matěj Nevrla Kamonchai Lukáš Vácha Chinese Academy of Sciences, PRCRui Ren Xiamen UniversityYanfen Zhang Loughborough UniversityAndrew Vivian |
Schedule
Note for Time Slot Arrangement:
The time slot for every regular-talk is 30-minute = a 25-minute presentation + a 5-minute discussion.
The time slot for every short-talk is 15-minute = a 10-minute presentation + a 5-minute discussion.
Each discussion will be led by an audience chosen randomly. (Everyone has a chance to give his/her opinion)
Day | Time | Speaker | title | ||
Tuesday | 13:30 | Arrival | |||
13:30- 14:30 | Lunch and Check-In | ||||
1st session, Chair: Wolfgang Härdle | |||||
14: 30-15: 00 | Michael Althof | FRM: Macroeconomical Risk Factors | |||
| 15: 00-15: 30 | Rui Ren | FRM in Expectile | |||
| 15: 30-16: 00 | Raphael Reule | Smart Derivative Contracts | |||
16: 00-16: 30 | Coffee break | ||||
2nd session, Chair: Xinwen Ni | |||||
16: 30-17: 00 | Yanfen Zhang | Co-Integration in Crypto Realm | |||
17: 00- 17: 30 | Bruno Spilak | Tail-risk protection: MLvsGARCH | |||
| 17: 30-18: 00 | Francis Liu | Word Embeddings | |||
| 18: 10-18: 20 | IRTG 1792 Internal Meeting R2, XN, AS, VG, MS, EZ, MBL, K2, KH, FL, REN | ||||
18: 30- 20:00 | Dinner | ||||
Wednesday (22.01.2020) | |||||
1st session, Chair: František Čech | |||||
09: 00-09: 30 | Marius Sterling | Forecasting Prices for LOB Data with Neural Networks | |||
09: 30-10: 00 | Luboš Hanus | Dynamic Density Forecasting Using Machine Learning | |||
10: 00-10: 30 | Elizaveta Zinovyeva | Antisocial Online Behavior Detection Using Deep Learning | |||
10: 30-11: 00 | Coffee break | ||||
2nd Session, Chair: Bruno Spilak | |||||
11: 00-11: 30 | Matěj Nevrla | Quantile Spectral Beta: A Tale of Tail Risks, Investment Horizons, and Asset Prices | |||
11: 30-12: 00 | Martin Hronec | Asset Pricing with Quantile Machine Learning | |||
12: 00-12: 30 | Xinwen Ni | Regulatory Risk Analysis of Cryptocurrency Market | |||
12: 30-14: 30 | Discussion / Lunch Break | ||||
3rd session, Chair: Jozef Barunik | |||||
14: 30-16: 00 | Short course - Mike Ellington (Pt.1) | ||||
16: 00-16: 30 | Coffee break | ||||
4th session | |||||
16: 30-18: 00 | Short course - Mike Ellington (Pt.2) | ||||
18: 30-20: 00 | Dinner | ||||
Thursday | 08: 00-14: 00 | Optional activities | |||
1st Session, Chair: Wolfgang Härdle | |||||
14:00- 14:30 | Guest Talk - Simon Schillebeeckx | ||||
14: 30-16: 00 | Short course - Andrew Vivian (Pt.1) | ||||
16: 00-16: 30 | Coffee break | ||||
2nd Session | |||||
16: 30-18: 00 | Short course - Andrew Vivian (Pt.2) | ||||
18: 30-20: 00 | Dinner | ||||
Friday (24.01.2020) | |||||
1st Session, Chair: Niels Wesselhöft | |||||
09: 00-09: 30 | Maria Culjak | Predictive Accuracy Analysis of Option Pricing Models Using High Frequency Data | |||
09: 30-10: 00 | Daniel Jacob | Group Average Treatment Effects for Observational Studies | |||
10: 00-10: 30 | Josef Kurka | Horizon-specific Risk, Higher Moments and Asset Prices | |||
10: 30-11: 00 | Coffee break | ||||
2nd Session, Chair: Daniel Jacob | |||||
11: 00-11: 20 | Danial Saef | Jump Processes in High Frequency Time Series | |||
11: 20-11: 40 | Kamonchai | Impact of Google Trends on Portfolio Optimization | |||
11:40- 12:00 | Niels Wesselhöft | The Kelly Criterion | |||
12: 00-14: 30 | Discussion / Lunch Break | ||||
3rd Session, Chair: Elizaveta Zinovyeva | |||||
14: 30-15: 00 | Karel Kozmik | Using Machine Learning to Predict Optimal Parameters in Portfolio Optimization | |||
15: 00-15: 30 | Lili Matic | Valuation and Risk Management of Cryptocurrencies | |||
15: 30-16: 00 | Kainat Khowaia | Spectral Clustering | |||
16: 00-16: 30 | Coffee break | ||||
4th session, Chair: Lili Matic | |||||
16: 30-17: 00 | Min-Bin Lin | Extractive Summarization - A General Review | |||
17: 00-17: 30 | Vannessa Guarino/ Anna Shchekina | Sentiment-driven Cryptocurrency Market Analysis | |||
17: 30-18: 00 | Konstantin Häusler | Explaining the Dynamics of House Prices by Social Indicators | |||
18: 30-20: 00 | Dinner | ||||
Saturday | 09:00 | Departure | |||